Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 11.11 | 10.07 | 10.26 |
| Market Cap (Millions USD) | 23294.89 | 22355.33 | 21414.16 |
| Predicted Beta | 1.24 | 1.23 | 1.2 |
| Idiosyncratic Volatility | 0.89 | 1.36 | 1.55 |
Annualized return and volatility
| XLK | |
|---|---|
| Annualized Return | 0.0372 |
| Annualized Std Dev | 0.2499 |
| Annualized Sharpe (Rf=0%) | 0.1489 |
Row
Daily Return Statistics
| XLK | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0865 |
| Quartile 1 | -0.0061 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1610 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0157 |
| Skewness | 0.4400 |
| Kurtosis | 7.8093 |
Downside Risk
| XLK | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0118 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.8205 |
| Historical VaR (95%) | -0.0254 |
| Historical ES (95%) | -0.0376 |
| Modified VaR (95%) | -0.0211 |
| Modified ES (95%) | -0.0211 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-28 | 2002-10-09 | 2017-03-01 | -0.8205 | 4332 | 647 | 3685 |
| 2018-10-04 | 2018-12-24 | 2019-04-03 | -0.2378 | 126 | 57 | 69 |
| 2000-01-04 | 2000-01-28 | 2000-02-10 | -0.1172 | 27 | 18 | 9 |
| 2019-04-25 | 2019-06-03 | 2019-06-20 | -0.1046 | 41 | 28 | 13 |
| 2018-01-29 | 2018-02-08 | 2018-02-26 | -0.1038 | 20 | 9 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 2.1 | 1.0 | 0.0 | 1.4 | 4.5 | 0.0 | -1.2 | 0.1 | 0.0 | -1.9 | 1.3 | 0 | 7.4 |
| 2001 | -0.1 | 2.8 | 0.0 | 2.4 | 1.7 | 0.0 | 2.7 | 0.0 | -1.3 | 3.5 | 0.0 | 0 | 12.2 |
| 2002 | -1.9 | 5.0 | 1.1 | -0.8 | 0.0 | -4.2 | -4.4 | 0.0 | 5.4 | 3.0 | 0.0 | 0 | 2.7 |
| 2003 | 0.0 | 0.0 | 1.2 | 1.0 | 0.0 | 1.4 | -0.5 | 0.0 | 2.2 | 0.0 | 1.0 | 0 | 6.4 |
| 2004 | 0.0 | 1.2 | 1.0 | 0.0 | -0.7 | -1.8 | 0.0 | 0.8 | 2.5 | 0.8 | 2.0 | 0 | 5.9 |
| 2005 | 0.6 | 1.2 | -0.9 | 0.0 | 1.0 | 0.3 | 0.0 | -0.2 | 0.0 | -0.2 | 1.5 | 0 | 3.3 |
| 2006 | 0.6 | 2.0 | 0.0 | -0.8 | 1.7 | 0.0 | -1.4 | 0.4 | 0.0 | -0.4 | -0.9 | 0 | 1.2 |
| 2007 | -0.4 | -0.1 | 0.0 | 0.5 | 0.0 | 0.0 | 1.0 | 0.0 | 1.1 | -1.1 | 0.0 | 0 | 0.9 |
| 2008 | 1.7 | 0.0 | 2.9 | 4.2 | 0.0 | -0.7 | -1.1 | 0.0 | -0.9 | 0.0 | -7.2 | 0 | -1.5 |
| 2009 | 0.0 | 0.0 | 2.8 | 1.3 | 2.8 | 0.4 | 0.0 | -2.0 | -3.0 | 0.0 | 1.6 | 0 | 3.9 |
| 2010 | 1.1 | 1.3 | -0.2 | 0.0 | -1.0 | -0.4 | 0.0 | 2.6 | 0.0 | 0.1 | 2.1 | 0 | 5.8 |
| 2011 | 1.7 | -1.9 | -0.2 | 0.0 | -2.1 | 1.6 | -0.1 | -1.1 | 0.0 | -2.8 | 0.5 | 0 | -4.3 |
| 2012 | 1.0 | 0.6 | 0.0 | 0.3 | -2.6 | 0.0 | -0.3 | 0.0 | -0.2 | 1.6 | 0.0 | 0 | 0.3 |
| 2013 | 1.1 | 0.2 | -0.7 | -0.9 | 0.0 | 0.5 | 1.1 | 0.0 | 0.9 | 0.0 | 0.0 | 0 | 2.3 |
| 2014 | 0.0 | 0.0 | 1.2 | 0.1 | 0.0 | 1.0 | -0.5 | 0.0 | -1.6 | 0.0 | -1.1 | 0 | -0.9 |
| 2015 | 0.0 | 0.0 | -0.1 | 1.2 | 0.3 | 0.7 | 0.0 | -3.2 | 0.1 | 0.0 | 0.9 | 0 | -0.3 |
| 2016 | 0.4 | 3.0 | 0.8 | 0.0 | -0.2 | 0.2 | 0.2 | 0.3 | 0.0 | -0.9 | -2.1 | 0 | 1.6 |
| 2017 | 0.8 | 1.4 | 0.0 | 0.8 | 0.2 | 0.0 | 0.5 | -0.1 | 0.0 | 0.0 | -0.5 | 0 | 3.1 |
| 2018 | 0.1 | -1.7 | 0.0 | 1.3 | 1.7 | 0.0 | 0.9 | 0.0 | 0.5 | 1.2 | 0.0 | 0 | 4.0 |
| 2019 | 0.6 | 0.7 | 1.4 | -0.3 | 0.0 | 1.6 | -0.5 | 0.0 | -0.9 | 1.2 | 0.0 | 0 | 3.8 |
Row
Rolling Performance Chart
Snail Trail Chart
